Saxon Investment Corporation : Aggressive Diversified Program

Year-to-Date: N / A
Sep Performance: -0.72%

Min Investment: $ 2,000k
Mgmt. Fee: 0%
Perf. Fee: 25.00%

Annualized Vol: 36.96%
Sharpe (RFR=1%): 0.52
CAROR: 14.64%

Assets: $ 30.0M
Worst DD: -65.86
S&P Correlation: -0.06

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Growth of 1,000 - VAMI

Monthly Performance

Export Data

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	YTD	DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index	Sep	Qtr	YTD	1yr	3yr	5yr	10yr	Since 11/1993
Aggressive Diversified Program	-0.72	-	-	-	-	-11.50	-15.84	2,189.89
S&P 500	-0.12	-	-	-	-	91.62	62.29	564.46
+/- S&P 500	-0.60	-	-	-	-	-103.13	-78.13	1,625.44

Strategy Description

Summary

Account & Fees

Type	Managed Account
Minimum Investment	$ 2,000k
Trading Level Incremental Increase	$ 0k
CTA Max Funding Factor
Management Fee	0%
Performance Fee	25.00%
Average Commission	$0
Available to US Investors	Yes

Subscriptions

High Water Mark	Yes
Subscription Frequency	Daily
Redemption Frequency	Daily
Investor Requirements	QEP
Lock-up Period	0

Trading

Trading Frequency	300 RT/YR/$M
Avg. Margin-to-Equity	9%
Targeted Worst DD
Worst Peak-to-Trough	0%
Sector Focus	Diversified Traders

Holding Periods

Over 12 Months	0%
4-12 Months	0%
1-3 Months	0%
1-30 Days	0%
Intraday	0%

Decision-Making

Discretionary	0%
Systematic	100.00%

Strategy

Trend-following: 100.00%

Composition

Currency Futures: 22.00%
Energy: 21.00%
Interest Rates: 17.00%
Industrial Metals: 13.00%
Grains: 10.00%
Precious Metals: 8.00%
Softs: 7.00%
Stock Indices: 2.00%

Summary

Saxon currently offers two trading programs, the Diversified and Aggressive Diversified Programs, which trade the same diversified portfolio of commodity interests using the same trading strategies, but at different levels of capital utilization and risk. The Aggressive Diversified Program commenced trading in November 1993. The programs differ with respect to a component of Saxon's money management strategy. This money management plan incorporates a fixed fractional strategy: the amount risked on any particular trade is a fixed percentage of the account's equity as adjusted for a) gross realized profits and losses to date and b) amounts already at risk. In the Aggressive Diversified Program, the percentage of equity risked on any particular trade is greater than in the Diversified Program, but generally not more than twice as great. Consequently, the Aggressive Diversified Program entails a significantly higher degree of risk than the Diversified Program. Specific Commodity Interests to be traded will be selected from time to time by Saxon. Examples of Commodity Interests currently traded include, but are not limited to, U.S. and foreign interest rates, foreign currencies, precious and industrial metals, grains and soybean products, energy products, coffee, sugar, cotton, and orange juice.

Compare to:

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Index: Chart Type:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Compare to:

Index:

Monthly Annual

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth	Length (Mos.)	Recovery (Mos.)	Peak	Valley
-65.86	11	42	4/1/1995	3/1/1996
-41.21	4	2	12/1/1993	4/1/1994
-32.46	65	-	4/1/2011	9/1/2016
-32.13	2	2	12/1/1994	2/1/1995
-30.84	18	8	3/1/2004	9/1/2005
-27.80	2	6	9/1/2002	11/1/2002
-22.92	6	2	10/1/2001	4/1/2002
-20.05	15	2	5/1/2006	8/1/2007
-11.67	1	1	7/1/1994	8/1/1994
-11.50	2	1	8/1/2000	10/1/2000
-11.12	5	2	12/1/2000	5/1/2001
-8.70	1	1	10/1/2003	11/1/2003
-7.66	3	8	6/1/2008	9/1/2008
-7.50	1	2	3/1/2000	4/1/2000
-5.91	1	4	4/1/2010	5/1/2010
-5.87	1	2	9/1/1999	10/1/1999
-3.69	1	3	5/1/2003	6/1/2003
-2.68	1	2	7/1/2001	8/1/2001
-2.00	2	2	11/1/2009	1/1/2010
-1.78	1	1	10/1/2010	11/1/2010
-0.56	1	1	5/1/2009	6/1/2009
-0.51	1	1	9/1/2009	10/1/2009
-0.26	1	1	12/1/1999	1/1/2000
-0.09	1	1	2/1/2011	3/1/2011

Consecutive Gains

Run-up	Length (Mos.)	Start	End
128.65	3	5/1/1994	7/1/1994
104.78	10	9/1/2007	6/1/2008
104.30	4	9/1/1994	12/1/1994
99.98	4	8/1/1996	11/1/1996
70.05	4	7/1/1998	10/1/1998
68.58	5	5/1/2002	9/1/2002
49.12	2	3/1/1995	4/1/1995
44.99	1	4/1/1996	4/1/1996
42.84	3	1/1/1997	3/1/1997
39.54	2	11/1/1993	12/1/1993
39.34	4	7/1/2003	10/1/2003
36.90	2	11/1/2000	12/1/2000
33.90	3	12/1/2002	2/1/2003
31.90	2	8/1/1999	9/1/1999
31.36	4	12/1/2003	3/1/2004
29.66	2	4/1/2003	5/1/2003
27.51	2	11/1/1995	12/1/1995
25.60	5	10/1/2005	2/1/2006
20.75	2	9/1/2001	10/1/2001
19.64	2	4/1/2006	5/1/2006
19.32	1	9/1/1997	9/1/1997
15.33	4	5/1/2000	8/1/2000
15.16	2	6/1/1997	7/1/1997
14.05	2	6/1/2001	7/1/2001
13.18	5	6/1/2010	10/1/2010
11.68	3	5/1/2007	7/1/2007
11.65	1	6/1/1996	6/1/1996
11.59	1	3/1/1994	3/1/1994
10.94	1	11/1/2004	11/1/2004
9.50	1	4/1/1999	4/1/1999
9.12	3	7/1/2009	9/1/2009
8.74	2	2/1/2000	3/1/2000
8.27	3	12/1/2010	2/1/2011
8.11	1	12/1/2001	12/1/2001
7.89	1	3/1/2002	3/1/2002
7.75	5	10/1/2008	2/1/2009
6.94	1	11/1/2006	11/1/2006
6.76	2	11/1/1999	12/1/1999
6.54	1	5/1/2005	5/1/2005
5.93	2	4/1/2009	5/1/2009
5.88	3	2/1/2010	4/1/2010
4.91	2	12/1/1997	1/1/1998
4.77	2	8/1/2004	9/1/2004
4.35	1	1/1/1999	1/1/1999
4.09	1	6/1/2016	6/1/2016
4.03	1	11/1/2009	11/1/2009
3.96	1	6/1/1999	6/1/1999
3.85	1	3/1/2005	3/1/2005
3.70	1	6/1/1995	6/1/1995
3.66	1	4/1/2011	4/1/2011
2.87	2	6/1/2013	7/1/2013
2.84	1	2/1/2007	2/1/2007
2.44	3	7/1/2012	9/1/2012
2.40	1	2/1/2014	2/1/2014
2.14	1	1/1/2013	1/1/2013
1.89	2	7/1/2011	8/1/2011
1.77	1	6/1/2014	6/1/2014
1.75	1	4/1/2016	4/1/2016
1.61	1	12/1/2013	12/1/2013
1.42	2	1/1/2016	2/1/2016
1.06	1	4/1/2015	4/1/2015
0.94	1	4/1/2014	4/1/2014
0.91	1	8/1/2014	8/1/2014
0.68	1	9/1/2006	9/1/2006
0.67	1	3/1/2013	3/1/2013
0.37	1	9/1/2015	9/1/2015
0.24	1	11/1/2014	11/1/2014
0.06	1	5/1/2004	5/1/2004
0.06	1	2/1/2012	2/1/2012

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-53.34	4	7/1/1995	10/1/1995
-35.97	3	1/1/1996	3/1/1996
-35.83	2	1/1/1994	2/1/1994
-32.13	2	1/1/1995	2/1/1995
-30.54	1	5/1/1996	5/1/1996
-27.80	2	10/1/2002	11/1/2002
-23.15	1	8/1/1997	8/1/1997
-20.11	5	2/1/1998	6/1/1998
-19.98	2	10/1/1997	11/1/1997
-17.90	1	4/1/1994	4/1/1994
-17.53	1	12/1/1996	12/1/1996
-16.69	4	6/1/2005	9/1/2005
-16.15	1	5/1/1999	5/1/1999
-15.01	1	4/1/2002	4/1/2002
-14.75	2	4/1/1997	5/1/1997
-14.60	4	5/1/2015	8/1/2015
-14.06	2	12/1/2006	1/1/2007
-13.59	1	5/1/1995	5/1/1995
-12.46	2	1/1/2002	2/1/2002
-11.85	2	6/1/2004	7/1/2004
-11.67	1	8/1/1994	8/1/1994
-11.59	1	3/1/2003	3/1/2003
-11.50	2	9/1/2000	10/1/2000
-11.17	1	11/1/2001	11/1/2001
-11.12	5	1/1/2001	5/1/2001
-10.73	1	8/1/2007	8/1/2007
-10.36	1	4/1/2004	4/1/2004
-9.60	3	6/1/2006	8/1/2006
-9.55	1	4/1/2005	4/1/2005
-9.04	3	12/1/2004	2/1/2005
-8.70	1	11/1/2003	11/1/2003
-8.22	2	11/1/1998	12/1/1998
-7.66	3	7/1/2008	9/1/2008
-7.50	1	4/1/2000	4/1/2000
-7.13	3	7/1/2016	9/1/2016
-5.91	1	5/1/2010	5/1/2010
-5.87	1	10/1/1999	10/1/1999
-5.79	3	10/1/2012	12/1/2012
-5.43	4	12/1/2014	3/1/2015
-4.80	2	2/1/1999	3/1/1999
-4.32	4	8/1/2013	11/1/2013
-4.24	2	3/1/2007	4/1/2007
-3.92	1	7/1/2014	7/1/2014
-3.69	1	6/1/2003	6/1/2003
-3.29	1	2/1/2013	2/1/2013
-3.14	2	5/1/2011	6/1/2011
-2.83	3	10/1/2015	12/1/2015
-2.68	1	8/1/2001	8/1/2001
-2.66	1	10/1/2006	10/1/2006
-2.32	1	1/1/2014	1/1/2014
-2.30	1	5/1/2016	5/1/2016
-2.00	2	12/1/2009	1/1/2010
-1.93	5	9/1/2011	1/1/2012
-1.87	1	3/1/2014	3/1/2014
-1.78	1	11/1/2010	11/1/2010
-1.61	2	9/1/2014	10/1/2014
-1.59	2	4/1/2013	5/1/2013
-1.06	4	3/1/2012	6/1/2012
-0.92	1	7/1/1999	7/1/1999
-0.77	1	10/1/2004	10/1/2004
-0.75	1	3/1/2009	3/1/2009
-0.56	1	6/1/2009	6/1/2009
-0.54	1	3/1/2006	3/1/2006
-0.51	1	10/1/2009	10/1/2009
-0.39	1	7/1/1996	7/1/1996
-0.26	1	1/1/2000	1/1/2000
-0.21	1	3/1/2016	3/1/2016
-0.09	1	3/1/2011	3/1/2011
-0.04	1	5/1/2014	5/1/2014

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	275.00	273.00	270.00	264.00	258.00	252.00	240.00	228.00	216.00
Percent Profitable	53.09	53.48	58.52	64.39	71.71	73.41	79.17	87.28	91.20
Average Period Return	1.69	4.95	10.21	20.63	26.87	34.88	63.46	92.29	132.66
Average Gain	7.98	15.77	24.55	39.51	43.53	51.78	84.49	108.58	147.32
Average Loss	-5.62	-7.55	-10.01	-13.52	-15.33	-11.77	-16.45	-19.53	-19.31
Best Period	47.13	128.65	181.56	317.63	242.63	169.52	245.18	266.13	385.13
Worst Period	-34.45	-50.93	-58.19	-63.35	-61.15	-36.18	-42.08	-31.20	-31.07
Standard Deviation	10.67	19.55	28.64	43.86	40.59	40.89	59.51	73.26	92.07
Gain Standard Deviation	9.53	19.79	28.77	43.33	35.37	34.34	48.13	63.59	82.67
Loss Standard Deviation	6.69	9.13	10.56	14.15	12.81	7.83	10.35	9.26	10.73
Sharpe Ratio (1%)	0.15	0.24	0.34	0.45	0.63	0.80	1.02	1.20	1.39
Average Gain / Average Loss	1.42	2.09	2.45	2.92	2.84	4.40	5.14	5.56	7.63
Profit / Loss Ratio	1.66	2.42	3.46	5.29	7.19	12.15	19.52	38.16	79.08
Downside Deviation (10%)	6.06	8.59	10.52	13.90	13.99	12.15	15.56	15.39	14.86
Downside Deviation (5%)	5.91	8.14	9.57	12.06	11.22	8.16	10.05	9.02	7.88
Downside Deviation (0%)	5.88	8.03	9.35	11.64	10.60	7.27	8.85	7.68	6.51
Sortino Ratio (10%)	0.21	0.43	0.74	1.12	1.38	2.03	3.06	4.60	7.07
Sortino Ratio (5%)	0.27	0.58	1.01	1.63	2.26	4.03	6.01	9.78	16.20
Sortino Ratio (0%)	0.29	0.62	1.09	1.77	2.54	4.80	7.17	12.01	20.37

Top Performer Badges

Index	Award Type	Rank	Performance	Period
IASG CTA Index	5 Year	8	169.22	2002 - 2007
Trend Following Strategy Index	Month	9	7.84	12/2007
Systematic Trader Index	Month	10	7.84	12/2007
Systematic Trader Index	Month	8	9.06	11/2007
IASG CTA Index	Month	9	9.06	11/2007
Trend Following Strategy Index	Month	6	9.06	11/2007
Diversified Trader Index	Month	6	9.06	11/2007
Diversified Trader Index	Month	10	6.13	7/2007
Trend Following Strategy Index	Month	10	6.13	7/2007
Trend Following Strategy Index	Month	4	2.84	2/2007
Trend Following Strategy Index	Month	10	3.79	5/2006
Trend Following Strategy Index	Month	10	0.67	2/2006
Trend Following Strategy Index	Month	9	7.53	12/2005
Systematic Trader Index	Month	10	7.53	12/2005
IASG CTA Index	5 Year	3	247.11	1999 - 2004
IASG CTA Index	5 Year	1	312.15	1998 - 2003
IASG CTA Index	Annual	2	88.82	2003
IASG CTA Index	3 Year	4	136.10	2000 - 2003
Systematic Trader Index	Month	10	12.34	12/2003
Trend Following Strategy Index	Month	10	12.34	12/2003
IASG CTA Index	Month	4	21.16	10/2003
Trend Following Strategy Index	Month	1	21.16	10/2003
Systematic Trader Index	Month	2	21.16	10/2003
Diversified Trader Index	Month	2	21.16	10/2003
Systematic Trader Index	Month	2	12.04	9/2003
Trend Following Strategy Index	Month	3	12.04	9/2003
Diversified Trader Index	Month	3	12.04	9/2003
IASG CTA Index	Month	5	12.04	9/2003
Systematic Trader Index	Month	8	19.12	5/2003
Trend Following Strategy Index	Month	8	19.12	5/2003
Diversified Trader Index	Month	7	19.12	5/2003
IASG CTA Index	Month	8	19.12	5/2003
IASG CTA Index	Month	4	8.85	4/2003
Diversified Trader Index	Month	4	8.85	4/2003
Systematic Trader Index	Month	3	8.85	4/2003
Trend Following Strategy Index	Month	3	8.85	4/2003
Trend Following Strategy Index	Month	4	15.21	1/2003
Systematic Trader Index	Month	5	15.21	1/2003
IASG CTA Index	Month	6	15.21	1/2003
Diversified Trader Index	Month	6	15.21	1/2003
IASG CTA Index	5 Year	3	175.70	1997 - 2002
Diversified Trader Index	Month	6	12.61	9/2002
Trend Following Strategy Index	Month	5	12.61	9/2002
IASG CTA Index	Month	7	12.61	9/2002
Systematic Trader Index	Month	6	12.61	9/2002
IASG CTA Index	Month	9	16.58	6/2002
Trend Following Strategy Index	Month	9	16.58	6/2002
Systematic Trader Index	Month	9	16.58	6/2002
Diversified Trader Index	Month	9	16.58	6/2002
IASG CTA Index	Month	5	14.39	5/2002
Diversified Trader Index	Month	4	14.39	5/2002
Trend Following Strategy Index	Month	2	14.39	5/2002
Systematic Trader Index	Month	2	14.39	5/2002
Trend Following Strategy Index	Month	10	7.89	3/2002
IASG CTA Index	5 Year	8	168.77	1996 - 2001
Diversified Trader Index	Month	2	8.11	12/2001
IASG CTA Index	3 Year	2	99.68	1998 - 2001
Trend Following Strategy Index	Month	3	8.11	12/2001
Systematic Trader Index	Month	3	8.11	12/2001
IASG CTA Index	Month	4	8.11	12/2001
IASG CTA Index	Month	4	19.21	10/2001
Systematic Trader Index	Month	3	19.21	10/2001
Diversified Trader Index	Month	3	19.21	10/2001
Trend Following Strategy Index	Month	3	19.21	10/2001
Systematic Trader Index	Month	3	8.71	7/2001
Trend Following Strategy Index	Month	2	8.71	7/2001
Diversified Trader Index	Month	2	8.71	7/2001
IASG CTA Index	Month	4	8.71	7/2001
Trend Following Strategy Index	Month	4	4.91	6/2001
Systematic Trader Index	Month	5	4.91	6/2001
Diversified Trader Index	Month	5	4.91	6/2001
IASG CTA Index	Month	6	4.91	6/2001
IASG CTA Index	5 Year	5	177.90	1995 - 2000
IASG CTA Index	3 Year	3	120.50	1997 - 2000
IASG CTA Index	Annual	10	40.18	2000
IASG CTA Index	Month	4	16.46	11/2000
Diversified Trader Index	Month	4	16.46	11/2000
Trend Following Strategy Index	Month	4	16.46	11/2000
Systematic Trader Index	Month	4	16.46	11/2000
Trend Following Strategy Index	Month	4	1.67	7/2000
Diversified Trader Index	Month	5	1.67	7/2000
Systematic Trader Index	Month	6	1.67	7/2000
Trend Following Strategy Index	Month	6	2.50	6/2000
Systematic Trader Index	Month	9	2.50	6/2000
Trend Following Strategy Index	Month	10	7.09	5/2000
Trend Following Strategy Index	Month	10	0.68	3/2000
Systematic Trader Index	Month	3	8.01	2/2000
IASG CTA Index	Month	3	8.01	2/2000
Diversified Trader Index	Month	2	8.01	2/2000
Trend Following Strategy Index	Month	2	8.01	2/2000
IASG CTA Index	Annual	8	24.53	1999
Trend Following Strategy Index	Month	3	7.23	9/1999
Systematic Trader Index	Month	3	7.23	9/1999
Diversified Trader Index	Month	4	7.23	9/1999
IASG CTA Index	Month	5	7.23	9/1999
IASG CTA Index	Month	1	23.01	8/1999
Trend Following Strategy Index	Month	1	23.01	8/1999
Systematic Trader Index	Month	1	23.01	8/1999
Diversified Trader Index	Month	1	23.01	8/1999
Trend Following Strategy Index	Month	9	3.96	6/1999

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

^#8

Top Performer

IASG CTA INDEX

2002-2007

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Saxon Investment Corporation : Aggressive Diversified Program

Growth of 1,000 - VAMI

Monthly Performance

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Strategy Description

Summary

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Trading

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Decision-Making

Strategy

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Consecutive Losses

Time Windows Analysis

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Saxon Investment Corporation : Aggressive Diversified Program

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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